Empirical Research Based On The Csi 300 Stock Index Futures On The Shanghai 50etf Cointegration Analysis Of Composite Arbitrage

The Stock Index Future and ETF are the mature deal breeds in capital market, investors always invest widely by investing stock index future and ETF in order to avoid the risk from holding cash only. Therefore, both of them are very popular. The stock future is usually in the use of hedging and arbitrage, especially hedging which used widely by analyzing market data. However arbitrage can't exert effective because of the cost of good compound and the division of market trade institution., especially in China. ETF have common merits in both of closed-ended fund and open-end fund. Because of these merits which caused the stabilization of value and high fluidity, ETF becomes the popular investing breed.The characteristic of stock index future is the bail, and the lever from it. That cause the expanding of risk and benefit. However, the higher cost of cash combination cause the useless of arbitrage for small investors. Though ETF market price is low, the spot transaction can't have the high lever characteristic. So, once the investor find the arbitrage chance, they can't use the chance to enlarge the benefit. If we can combine with stock index future and ETF, it can exert the merit from both of them. The investors can use the characteristic of high lever to improve benefit, and also lower cost by using ETF in stead of cash combination. This combination is compound arbitrage, the defect is the risk from the part simulated index which may cause the error risk by ETF in stead of stock. If the error risk is as low as normal, we can continue to deal.This paper deal with the history data about Shanghai security 50 ETF and Hu&Shen 300 index stock index future, we find they all non-steady time series data. Thus we use the Co-integration in order to find both of them have long balanced co-integration relationship and high correlation relationship. So, they provide the base of compound arbitrage. By use of co-integration, we find the correlation relationship between them, and the condition about arbitrage emerging. In some given condition, we exam thearbitrage action by history data.